Arbitrage-free market models for option prices: the multi-strike case
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 12 (2008)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60H - - - - - -
- 91B - - - - - -
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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0712.1343, arXiv.org, revised Dec 2007.
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- Jean Jacod & Philip Protter, 2010. "Risk-neutral compatibility with option prices," Finance and Stochastics, Springer, vol. 14(2), pages 285-315, April.
- Henrik Hult & Filip Lindskog & Johan Nykvist, 2013. "A simple time-consistent model for the forward density process," Papers 1301.4869, arXiv.org.
- René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, vol. 16(1), pages 63-104, January.
- S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
- Pietro Siorpaes, 2013. "Optimal investment and price dependence in a semi-static market," Papers 1303.0237, arXiv.org, revised Oct 2013.
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